Duration
Assets and liabilities, reconciled daily.
Continuous asset-liability management: cash-flow matching, hedge effectiveness, funding-level tracking and scenario testing against rate, inflation and longevity shocks.
Daily
Funding view
Decomposed
Basis risk
On demand
Stress tests
Worked example
Scheme funding run — £3.1B DB pension
Liability cash flows to 2078, asset holdings across 9 managers, market curves at close
Liabilities
£2.98B (technical provisions)
Assets
£3.10B across 9 managers
Funding level
104.0% at last valuation
Hedge ratio
Target 90% interest rate, 90% inflation
Run log
- Roll the liabilities
Projected cash flows to 2078 revalued on today's curve, with the latest mortality basis.
- Look through the assets
9 managers' holdings decomposed to interest-rate and inflation sensitivity, including the pooled LDI sleeve.
- Measure the mismatch
PV01 and IE01 compared, bucket by bucket, not just in aggregate.
- Test collateral
Collateral adequacy stressed against a 2022-style 100bps-a-day yield move.
- Run scenarios
Six scenarios including a repeat of the 2022 gilt episode.
Output
Press run to work this example end to end. Everything below is produced from the input above — sample data, real output shape: funding dashboard, hedge report, scenario results.
Live funding level
Scheme or book funding position updated with markets, not with quarters.
Hedge diagnostics
Effectiveness and basis risk decomposed across the hedging programme.
Shock library
Rate, inflation, spread and longevity scenarios run on demand.
Takes in
- Liability cash flows
- Asset holdings
- Market curves
Hands back
- Funding dashboard
- Hedge report
- Scenario results